Universal portfolio, part 11

First an apology, the links to the Universal Portfolio paper have stopped working. This is because the personal webpage of Thomas Cover at Stanford has been taken down, but fortunately the content moved elsewhere. The new link is Universal Portfolio and hopefully this one will be stable.

Note that there are many available copies on the web but most (like this one) are for something that seems to be a slighly reworked version dated October 23 1996. The text appears mostly identical to the published version, but it does not include the figures.

In the rest of this post, I discuss the data used by Cover. That data is included in logopt as nyse.cover.1962.1984. It contains the relative prices for 36 NYSE stocks between 1962 and 1984.

The names are not stickers, some guessing and with some help from an other person using the series gives the table below (and if anybody knows about the one without expansion yet. please post a comment).

Abbreviation

Company name

Current ticker

ahp

?

?

alcoa

Alcoa

AA

amerb

American Brandsaka Fortune Brands

–

arco

?

?

coke

Coca-Cola

KO

comme

Commercial Metals

CMC

dow

Dow Chemicals

DOW

dupont

DuPont

DD

espey

Espey Manufacturing

ESP

exxon

Exxon Mobil

XOM

coke

Coca-Cola

KO

fisch

Fischbach Corp

–

ford

Ford

F

ge

General Electric

GE

gm

General Motors

GM*

gte

GTE Corporation

–

gulf

Gulf Oil (now Chevron)

CVX

hp

Hewlett-Packard

HPQ

ibm

IBM

IBM

inger

Ingersoll-Rand

IR

iroq

Iroquois Brands

–

jnj

Johnson & Johnson

JNJ

kimbc

Kimberly-Clark

KMB

kinar

Kinark?

–

kodak

Eastman Kodak

EKDKQ

luken

Lukens?

–

meico

?

?

merck

Merck

MRK

mmm

3M

MMM

mobil

Exxon Mobil

XOM

morris

Philip Morris

PM

pandg

Procter & Gamble

PG

pills

Pillsbury, now part of General Mills

–

schlum

Schlumberger

SLB

sears

Sears Holdings

SHLD

sherw

Sherwin-Williams

SHW

tex

Texaco, now Chevron

CVX

There is a lot of diversity across the different stocks, we saw that in two ways:

by showing the global time evolution of all stocks in time

by showing the growth rate at two times separated by N market days (shown as a price relative between the two dates).

This gives the following textual answer and graphs. Note that there are many alternate ways to present this information, in particular the package PerformanceAnalytics.

Stock with worst final value: dupont finishing at 3.07Stock with worst valley value: meico at 0.26Stock with best final value: morris finishing at 54.14Stock with best peak value: schlum at 90.12Stock with best gain on 1200 days: espey at 15.84Stock with worst lost on 1200 days: meico at 0.07

This sequence forms a nice reference covering a long period of time, and has been used in many studies of portfolio selection algorithms. But the series has a number of serious problems:

Survivorship bias

The time range corresponds to a time where quotes were not yet decimal.